Importance Sampling and Variance Reduction

YIK LUN, KEI

allen29@ucla.edu

Example 1: Normalizing Constants

f<-function(x){x*sqrt(2/pi)*exp(-x^2/2)}
g_tilde = function(x) exp(-2*x)
f_tilde = function(x) exp(-x^2/2)
Zg<-1/2
Zf<-sqrt(pi/2)
integrate(f_tilde,0,Inf);Zf

## 1.253314 with absolute error < 0.00012

## [1] 1.253314
n<-1e4;iter<-1e3
x<-runif(n,0,1)
mean(f(x))
## [1] 0.3156687
integrate(f,0,1)

## 0.3139431 with absolute error < 3.5e-15

h = function(x) {x}
E = function(n){
x = rexp(n,rate=2) #sampling from Exponetial dis with rate=2
w_tilde = f_tilde(x)/g_tilde(x)
weight = w_tilde/sum(w_tilde)
I_hat = sum(h(x)*weight)
Zf<-Zg*mean(f_tilde(x)/g_tilde(x))
return(c(I_hat,Zf))
}
E(1e5)
## [1] 0.7967853 1.2515515
integrate(f,0,Inf) #x>0
## 0.7978846 with absolute error < 2.3e-08

Example 2:

R 10
0 exp(2 |x

5|)dx

f<-function(x){ exp(-2*abs(x-5))}
integrate(f,0,10)

## 0.9999546 with absolute error < 2.8e-14

first<-function(n){
X <- runif(n,0,10)
Y <- 10*exp(-2*abs(X-5))#rewrite the integral
return(mean(Y))
}
original<-replicate(iter,first(n))
anti<-function(n){
x<-runif(n,0,10);y<-10-x
return( 0.5 *mean(10*exp(-2*abs(x-5))+10*exp(-2*abs(y-5))))
}
antithetic <-replicate(iter,anti(n))

0.0

0.2

0.4

f(x)

0.6

0.8

1.0

x<-runif(n,0,10)
plot(x,f(x)) # peak at x=5

6
x

10

second<-function(n){
X=rnorm(n,5,1)
Y=10*f(X)*dunif(X,0,10)/dnorm(X,mean=5,sd=1)
return(mean(Y))
}
importance<-replicate(iter,second(n))
mean(original)

## [1] 0.9985911
mean(antithetic)
## [1] 1.000879
mean(importance)

## [1] 0.9998259
var(original)

## [1] 0.0003910023
var(antithetic)
## [1] 0.0004131957
var(importance)

## [1] 3.687052e-05

Example 3:

R 2/pi
sin(x
0

cos(x))dx

h <- function(u) sin(u*cos(u))

integrate(h, 0, 2*pi)

## -1.041727 with absolute error < 3.9e-06

first<-function(n){
unif<- runif(10000, 0, 2*pi)
I<-2*pi*mean(h(unif))
return(I)
}
original<-replicate(iter,first(n))

second<-function(n){
x<- runif(10000, 0, 2*pi);y=2*pi-x
I<-0.5*2*pi*mean(h(x)+h(y))
return(I)
}
antithetic<-replicate(iter,second(n))
mean(original)

## [1] -1.041764
mean(antithetic)
## [1] -1.041069
var(original)

## [1] 0.001211512
var(antithetic)
## [1] 0.0007569473

Example 4:
g=function(x) {
integrate(g,2,5)

exp(-x^2/2)/sqrt(2*pi) }

## 0.02274985 with absolute error < 2.5e-16

first<-function(n){
unif<-runif(1e5,2,5)
I<-(5-2)*mean(g(unif))
return(I)
}
original<-replicate(iter,first(n))
second<-function(n){
x<-runif(1e5,2,5);y<-runif(n,2,5)
I<-0.5*(5-2)*mean(g(x)+g(y))
return(I)
}
antithetic<-replicate(iter,second(n))
x<-rnorm(n)
plot(x,g(x)) # peak at 0

0.4
0.3
0.2
0.0

0.1

g(x)

0
x

third<-function(n){
x<-rnorm(n,0,2)
I<-(5-2)*g(x)*dunif(x,2,5)/dnorm(x,0,2)
return(mean(I))
}
importance<-replicate(iter,third(n))
mean(original)
## [1] 0.0227513
mean(antithetic)
## [1] 0.02274533
mean(importance)
## [1] 0.02277234
var(original)
## [1] 1.477382e-08

var(antithetic)
## [1] 3.679734e-08
var(importance)

## [1] 5.304287e-07

Example 5:
g=function(x) { -23.42056+1.74564*(10^9)*exp(-x/17.004425)*sin(pi*(x+19.88618)/(7.88822*10^8)) }
integrate(g,0,52.2155)

## 2649.597 with absolute error < 2.9e-11

first<-function(n){
unif<-runif(1e5,0,52.2155)
I<-(52.2155)*mean(g(unif))
return(I)
}
original<-replicate(iter,first(n))
second<-function(n){
x<-runif(1e5,0,52.2155);y<-52.2155-x
I<-0.5*(52.2155)*mean(g(x)+g(y))
return(I)
}
antithetic<-replicate(iter,second(n))
x<-c(-1000:1000)
plot(x,g(x),xlim=c(-100,100),ylim=c(-200,200))

200
100
0
200

100

g(x)

100

50

0
x

third<-function(n){
x<-rnorm(n,0,sd=20)
I<-(52.2155)*g(x)*dunif(x,0,52.2155)/dnorm(x,0,sd=20)
return(mean(I))
}
importance<-replicate(iter,third(n))
mean(original)
## [1] 2649.641
mean(antithetic)
## [1] 2649.588
mean(importance)
## [1] 2649.37
var(original)
## [1] 36.24802

50

100

var(antithetic)
## [1] 0.453387
var(importance)
## [1] 736.6437

Example 6:
f<-function(x){x^2*0.5 * exp(-abs(x))}
integrate(f,-Inf,Inf)
## 2 with absolute error < 7.1e-05

0.00

0.10

f(x)

0.20

x<-rnorm(1e5)
plot(x,f(x))

0
x

X <- rnorm(1e5, sd=2)

Y <- (X^2) * .5 * exp(-abs(X))/dnorm(X, sd=2)
mean(Y)
## [1] 2.074182